Asset Allocation
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in HL US RISK MITIGATION, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.30% | 0.09% | 8.18% | 8.17% | 23.42% | 19.88% | 11.91% | 13.45% |
Portfolio HL US RISK MITIGATION | — | — | — | — | — | — | — | — |
| Portfolio components: | ||||||||
Monthly Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.22% | 0.40% | 0.62% | ||||||||||
| 2023 | -1.45% | 1.70% | 0.38% | 0.40% | 0.41% | -0.03% | 0.02% | 1.11% | 1.50% | 0.83% | 0.52% | 0.51% | 6.02% |
| 2022 | -0.06% | 0.42% | 0.08% | 4.52% | 1.22% | 3.42% | -0.50% | 2.28% | 3.98% | -4.86% | 0.87% | 0.87% | 12.57% |
| 2021 | 0.00% | 0.00% | -1.71% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 1.69% | -0.66% | 0.00% | -0.87% | -1.57% |
Benchmark Metrics
HL US RISK MITIGATION has an annualized alpha of 5.32%, beta of -0.23, and R2 of 0.46 versus S&P 500 Index. Calculated based on daily prices since January 02, 2008.
- This portfolio tended to rise when S&P 500 Index fell (downside capture of -30.99%), but participation in market rallies was also limited (-4.59%) - a profile typical of counter-cyclical assets.
- Beta of -0.23 may look defensive, but with R2 of 0.46 this portfolio is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R2 of 0.46 means the benchmark explains less than half of this portfolio's behavior - treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- 5.32%
- Beta
- -0.23
- R²
- 0.46
- Upside Capture
- -4.59%
- Downside Capture
- -30.99%
Return for Risk
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Dividends
Dividend yield
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the HL US RISK MITIGATION. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the HL US RISK MITIGATION was 11.54%, occurring on Nov 4, 2008. Recovery took 12 trading sessions.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Financial crisis2007–2009 | -11.54%Nov 2008 | 22d | 16d | 1mo 8dOct 2008 - Nov 2008 |
Financial crisis2007–2009 | -10.16%Oct 2009 | 7mo 16d | 1y 9mo | 2y 5moMar 2009 - Aug 2011 |
2015 pullback2015 | -9.36%Mar 2015 | 3y 7mo | 3y 8mo | 7y 4moAug 2011 - Dec 2018 |
Bear market2022 | -7.33%Feb 2022 | 1y 10mo | 2mo 24d | 2y 1moMar 2020 - May 2022 |
Financial crisis2007–2009 | -7.21%Jan 2009 | 1mo 23d | 1mo 25d | 3mo 18dNov 2008 - Mar 2009 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 0 assets, with an effective number of assets of 0.00, reflecting the diversification based on asset allocation. null
Diversification Ratio
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Not enough data to calculate this metric.
HL US RISK MITIGATION correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.24 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.45 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.38 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.30 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2008 | -0.33 |
Find what HL US RISK MITIGATION is missing
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